The Applied Study Of Var To The Credit Risk Management Of Agricultural Bank Of China Suzhou Branch

Credit risk is among the major risks facing commercial banks and throughout their operation. Commercial banks with huge credit risk will not only endanger its daily safe operation, but also render destructive effects on the whole payment system once bankrupt, precipitating the financial system into national bankruptcy and financial crisis through Domino effect. Therefore precise and effective identification, measurement and management of credit risk have been the focus of attention of commercial banks and financial supervisors.Starting out with definition and features of credit risk in commercial banks, the thesis encapsulates concept, parameters, estimation method, and virtues of VaR, a technique managing credit risk in commercial banks, from the risk measurement view point. Based on that, comparison and analysis of different VaR-based risk management models are given. Related to character of credit assets and actuality of credit risk management, it finds necessity in introducing more advanced risk measurement method in Agricultural Bank of China Suzhou Branch.The major part of this thesis has been devoted to Credit Metrics Model in the light of facts from Agricultural Bank of China Suzhou Branch, and empirical analysis to our country's applicability using loan data obtained from Agricultural Bank of China Suzhou Branch, based on VaR. The results show that the VaR Model can precisely measure credit risk in Agricultural Bank of China Suzhou Branch and commercial banks of our country. Finally, this thesis lodged some advices for the limitation of applicability of VaR.The structure of the paper is as follows:Part 1 is Chapter 1, the preface. This part introduces the selected title motive of the thesis, research method, study the purpose, main contents and innovations.Part 2 consists of Chapter 2, Chapter 3 and Chapter 4, is summarizing the models. It outlines the main idea of the VaR methodology; introduces the risk models based on the VaR method, mainly introduced the CreditMetries model, and give the course of their setting up.Part 3 is Chapter 5. This part is the application of the models, which is the center of the paper. In this part, it utilizes the Monte Carlo simulation to solve the problem and empirically analyzes and probes into the applications of the model to the credit risk management of the Agricultural Bank of China Suzhou Branch.Part 3, which is Chapter 5, is the conclusion and proposing. It described the conclusions of the research, and lodged some proposing for the limitation of applicability of VaR.We are in the hope that the research involved in this paper may provide some useful reference to the wide application of VaR on Agricultural Bank of China Suzhou Branch and commercial banks in the future.